Details about Niels Haldrup

Access statistics for papers by Niels Haldrup.

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Short-id: pha155

Working Papers

2018

1. A Parametric Factor Model of the Term Structure of Mortality
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article A Parametric Factor Model of the Term Structure of Mortality, Econometrics, MDPI (2019) View citations (2) (2019)

2017

2. Spikes and memory in (Nord Pool) electricity price spot prices
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017)

2016

3. A generalized exponential time series regression model for electricity prices
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2015

4. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads, Energy Economics, Elsevier (2016) View citations (10) (2016)
5. Long Memory, Fractional Integration, and Cross-Sectional Aggregation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Long memory, fractional integration, and cross-sectional aggregation, Journal of Econometrics, Elsevier (2017) View citations (15) (2017)
6. Space-time modeling of electricity spot prices
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Space-time modeling of electricity spot prices, The Energy Journal, International Association for Energy Economics (2017) View citations (2) (2017)

2014

7. Deterministic and stochastic trends in the Lee-Carter mortality model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   See also Journal Article Deterministic and stochastic trends in the Lee–Carter mortality model, Applied Economics Letters, Taylor & Francis Journals (2016) View citations (4) (2016)
8. Discriminating between fractional integration and spurious long memory
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)

2012

9. Unit roots, nonlinearities and structural breaks
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   See also Chapter Unit roots, non-linearities and structural breaks, Chapters, Edward Elgar Publishing (2013) View citations (1) (2013)

2009

10. A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching
    Working Paper, Economics Department, Queen's University View citations (28)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
    See also Journal Article A vector autoregressive model for electricity prices subject to long memory and regime switching, Energy Economics, Elsevier (2010) View citations (52) (2010)
11. Detection of additive outliers in seasonal time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Detection of Additive Outliers in Seasonal Time Series, Journal of Time Series Econometrics, De Gruyter (2011) View citations (1) (2011)

2006

12. A Gaussian IV estimator of cointegrating relations
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
13. A Note on the Vogelsang Test for Additive Outliers
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article A note on the Vogelsang test for additive outliers, Statistics & Probability Letters, Elsevier (2008) View citations (6) (2008)

2005

14. Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (11) (2007)
15. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2006) View citations (137) (2006)
16. Improving Size and Power in Unit Root Testing
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
17. Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon
    Working Papers, Centre for Competition Policy, University of East Anglia
    Also in Working Paper series, University of East Anglia, Centre for Competition Policy (CCP), Centre for Competition Policy, University of East Anglia, Norwich, UK. (2005) View citations (1)
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University (2005) View citations (1)
    See also Journal Article SEQUENTIAL VERSUS SIMULTANEOUS MARKET DELINEATION: THE RELEVANT ANTITRUST MARKET FOR SALMON, Journal of Competition Law and Economics, Oxford University Press (2008) View citations (2) (2008)
18. Sequential versus simultaneous market
    Working Papers, Copenhagen Business School, Department of Economics View citations (1)
19. Testing for Additive Outliers in Seasonally Integrated Time Series
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (2)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University (2004)

2004

20. A Regime Switching Long Memory Model for Electricity Prices
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
    See also Journal Article A regime switching long memory model for electricity prices, Journal of Econometrics, Elsevier (2006) View citations (146) (2006)

2003

21. Long-Run Forecasting in Multicointegrated Systems
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
    Also in Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2002) View citations (2)
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article Long-run forecasting in multicointegrated systems, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (8) (2004)

2000

22. Local Power Functions of Tests for Double Unit Roots
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article Local power functions of tests for double unit roots, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2005) View citations (7) (2005)
23. Measurement Errors and Outliers in Seasonal Unit Root Testing
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Measurement errors and outliers in seasonal unit root testing, Journal of Econometrics, Elsevier (2005) View citations (15) (2005)
24. On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (4)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article On the Robustness of Unit Root Tests in the Presence of Double Unit Roots, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (7) (2002)
25. Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)

1996

26. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

Undated

27. Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (17)
28. Estimation of Fractional Integration in the Presence of Data Noise
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
    See also Journal Article Estimation of fractional integration in the presence of data noise, Computational Statistics & Data Analysis, Elsevier (2007) View citations (43) (2007)

Journal Articles

2019

1. A Parametric Factor Model of the Term Structure of Mortality
   Econometrics, 2019, 7, (1), 1-22 View citations (2)
   See also Working Paper A Parametric Factor Model of the Term Structure of Mortality, CREATES Research Papers (2018) (2018)

2017

2. Long memory, fractional integration, and cross-sectional aggregation
   Journal of Econometrics, 2017, 199, (1), 1-11 View citations (15)
   See also Working Paper Long Memory, Fractional Integration, and Cross-Sectional Aggregation, CREATES Research Papers (2015) (2015)
3. Space-time modeling of electricity spot prices
   The Energy Journal, 2017, Volume 38, (Number 5) View citations (2)
   See also Working Paper Space-time modeling of electricity spot prices, CREATES Research Papers (2015) (2015)

2016

4. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
   Energy Economics, 2016, 60, (C), 79-96 View citations (10)
   See also Working Paper Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads, CREATES Research Papers (2015) View citations (2) (2015)
5. Deterministic and stochastic trends in the Lee–Carter mortality model
   Applied Economics Letters, 2016, 23, (7), 486-493 View citations (4)
   See also Working Paper Deterministic and stochastic trends in the Lee-Carter mortality model, CREATES Research Papers (2014) View citations (3) (2014)

2011

6. Detection of Additive Outliers in Seasonal Time Series
   Journal of Time Series Econometrics, 2011, 3, (2), 20 View citations (1)
   See also Working Paper Detection of additive outliers in seasonal time series, CREATES Research Papers (2009) (2009)
7. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
   Journal of Time Series Econometrics, 2011, 3, (1), 8

2010

8. A vector autoregressive model for electricity prices subject to long memory and regime switching
   Energy Economics, 2010, 32, (5), 1044-1058 View citations (52)
   See also Working Paper A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching, Working Paper (2009) View citations (28) (2009)
9. Separation in Cointegrated Systems
   Journal of Financial Econometrics, 2010, 8, (2), 177-180 View citations (4)

2008

10. A note on the Vogelsang test for additive outliers
    Statistics & Probability Letters, 2008, 78, (3), 296-300 View citations (6)
    See also Working Paper A Note on the Vogelsang Test for Additive Outliers, Economics Working Papers (2006) (2006)
11. SEQUENTIAL VERSUS SIMULTANEOUS MARKET DELINEATION: THE RELEVANT ANTITRUST MARKET FOR SALMON
    Journal of Competition Law and Economics, 2008, 4, (3), 893-913 View citations (2)
    See also Working Paper Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon, Working Papers (2005) (2005)

2007

12. Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
    Journal of Business & Economic Statistics, 2007, 25, 21-32 View citations (11)
    See also Working Paper Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data, Economics Working Papers (2005) View citations (1) (2005)
13. Estimation of fractional integration in the presence of data noise
    Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 View citations (43)
    See also Working Paper Estimation of Fractional Integration in the Presence of Data Noise, Economics Working Papers View citations (9)

2006

14. A regime switching long memory model for electricity prices
    Journal of Econometrics, 2006, 135, (1-2), 349-376 View citations (146)
    See also Working Paper A Regime Switching Long Memory Model for Electricity Prices, Economics Working Papers (2004) View citations (14) (2004)
15. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 24 View citations (137)
    See also Working Paper Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, Economics Working Papers (2005) View citations (1) (2005)

2005

16. Local power functions of tests for double unit roots
    Statistica Neerlandica, 2005, 59, (2), 159-179 View citations (7)
    See also Working Paper Local Power Functions of Tests for Double Unit Roots, University of California at San Diego, Economics Working Paper Series (2000) View citations (5) (2000)
17. Measurement errors and outliers in seasonal unit root testing
    Journal of Econometrics, 2005, 127, (1), 103-128 View citations (15)
    See also Working Paper Measurement Errors and Outliers in Seasonal Unit Root Testing, University of California at San Diego, Economics Working Paper Series (2000) View citations (2) (2000)

2004

18. Long-run forecasting in multicointegrated systems
    Journal of Forecasting, 2004, 23, (5), 315-335 View citations (8)
    See also Working Paper Long-Run Forecasting in Multicointegrated Systems, Discussion Papers of DIW Berlin (2003) View citations (5) (2003)

2003

19. Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688

2002

20. On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
    Journal of Time Series Analysis, 2002, 23, (2), 155-171 View citations (7)
    See also Working Paper On the Robustness of Unit Root Tests in the Presence of Double Unit Roots, University of California at San Diego, Economics Working Paper Series (2000) View citations (4) (2000)
21. REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
    Econometric Theory, 2002, 18, (6), 1309-1335 View citations (10)

1999

22. Estimating the LQAC Model with I(2) Variables
    Journal of Applied Econometrics, 1999, 14, (2), 155-70 View citations (13)

1998

23. An Econometric Analysis of I(2) Variables
    Journal of Economic Surveys, 1998, 12, (5), 595-650 View citations (46)
24. Representations of I(2) cointegrated systems using the Smith-McMillan form
    Journal of Econometrics, 1998, 84, (2), 303-325 View citations (7)

1997

25. Money demand, adjustment costs, and forward-looking behavior
    Journal of Policy Modeling, 1997, 19, (2), 153-173 View citations (6)
26. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 View citations (14)
27. Separation in Cointegrated Systems and Persistent-Transitory Decompositions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 449-63 View citations (23)
28. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations (44)

1996

29. Mirror image distributions and the Dickey-Fuller regression with a maintained trend
    Journal of Econometrics, 1996, 72, (1-2), 301-312 View citations (5)

1995

30. A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
    Economics Letters, 1995, 48, (3-4), 221-228 View citations (15)

1994

31. Semiparametric Tests for Double Unit Roots
    Journal of Business & Economic Statistics, 1994, 12, (1), 109-22 View citations (15)
32. The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
    Journal of Business & Economic Statistics, 1994, 12, (4), 471-78 View citations (150)
33. The Linear Quadratic Adjustment Cost Model and the Demand for Labour
    Journal of Applied Econometrics, 1994, 9, (S), S145-59 View citations (18)
34. The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
    Journal of Econometrics, 1994, 63, (1), 153-181 View citations (64)

Edited books

2014

1. Essays in Nonlinear Time Series Econometrics
   OUP Catalogue, Oxford University Press View citations (11)

Chapters

2013

1. Unit roots, non-linearities and structural breaks
   Chapter 4 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 61-94 View citations (1)
   See also Working Paper Unit roots, nonlinearities and structural breaks, Department of Economics and Business Economics, Aarhus University (2012) View citations (3) (2012)